Narrative Monetary Policy Surprises and the Media

Saskia ter Ellen, Vegard H. Larsen, Leif Anders ThorsrudFinance金融中介Top Field

Journal of Money, Credit and Banking2021-10-25Norges Bank; Swedish National BankDOI

Citations12

Abstract We propose a simple method to quantify narratives from textual data, and identify “narrative monetary policy surprises” as the difference in narrative focus in central bank communication accompanying interest rate meetings and economic media coverage prior to those meetings. Identifying narrative surprises, using Norwegian data, provides surprise measures that are uncorrelated with conventional monetary policy surprises, and, in contrast to such surprises, have a significant effect on subsequent media coverage. Narrative monetary policy surprises lead to macroeconomic responses similar to what recent monetary policy literature associates with the information component of monetary policy communication, highlighting media's role as information intermediaries.

Monetary policyNarrativeSurpriseMonetary economicsCentral bankIdentification (biology)EconomicsPsychologyLinguisticsSocial psychologyMonetary Policy and Economic ImpactMarket Dynamics and Volatility